| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -2.05% | 8.29% |
| CAGR% | -2.87% | 11.83% |
| Sharpe | -0.07 | 0.94 |
| Sortino | -0.09 | 1.43 |
| Max Drawdown | -18.86% | -9.62% |
| Longest DD Days | 245 | 157 |
| Volatility (ann.) | 18.71% | 13.22% |
| R^2 | 0.16 | 0.16 |
| Calmar | -0.15 | 1.23 |
| Skew | -0.99 | 0.08 |
| Kurtosis | 4.13 | 0.98 |
| Expected Daily % | -0.01% | 0.05% |
| Expected Monthly % | -0.21% | 0.8% |
| Expected Yearly % | -1.03% | 4.06% |
| Kelly Criterion | -2.77% | 7.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.94% | -1.32% |
| Expected Shortfall (cVaR) | -3.23% | -3.23% |
| Payoff Ratio | 0.93 | 1.16 |
| Profit Factor | 0.01 | 0.17 |
| Common Sense Ratio | 0.01 | 0.19 |
| CPC Index | 0.01 | 0.1 |
| Tail Ratio | 1.01 | 1.13 |
| Outlier Win Ratio | 2.66 | 3.3 |
| Outlier Loss Ratio | 2.76 | 4.23 |
| MTD | 5.1% | 2.25% |
| 3M | -5.2% | 4.7% |
| 6M | -9.85% | -0.8% |
| YTD | -4.77% | 4.0% |
| 1Y | -2.05% | 8.29% |
| 3Y (ann.) | -2.87% | 11.83% |
| 5Y (ann.) | -2.87% | 11.83% |
| 10Y (ann.) | -2.87% | 11.83% |
| All-time (ann.) | -2.87% | 11.83% |
| Best Day | 2.66% | 2.49% |
| Worst Day | -5.96% | -2.96% |
| Best Month | 9.2% | 4.8% |
| Worst Month | -9.68% | -3.95% |
| Best Year | 2.86% | 4.12% |
| Worst Year | -4.77% | 4.0% |
| Avg. Drawdown | -10.24% | -2.18% |
| Avg. Drawdown Days | 124 | 26 |
| Recovery Factor | -0.11 | 0.86 |
| Ulcer Index | 1.1 | 1.04 |
| Avg. Up Month | 3.9% | 3.41% |
| Avg. Down Month | -6.16% | -1.97% |
| Win Days % | 50.59% | 50.0% |
| Win Month % | 50.0% | 60.0% |
| Win Quarter % | 50.0% | 75.0% |
| Win Year % | 50.0% | 100.0% |
| Beta | 0.56 | - |
| Alpha | -0.08 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 4.12 | 2.86 | 0.69 | - |
| 2021 | 4.00 | -4.77 | -1.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-07 | 2021-04-09 | -18.86 | 245 |
| 2020-08-03 | 2020-08-05 | -1.62 | 2 |